A Legendre–Galerkin spectral method for option pricing under regime switching models
The aim of this paper is to investigate an efficient spectral method for pricing European call options under regime-switching models. The main characteristic of this model is to incorporate the change in behavior of the underlying assets depending on different market states. The option pricing probl...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-11-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S259003742400075X |
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